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The Weather Derivatives Market Read chapter Read first chapter

2013 | OriginalPaper | Chapter

2. Introduction to Stochastic Calculus

Authors : Antonis K. Alexandridis, Achilleas D. Zapranis

Published in: Weather Derivatives

Publisher: Springer New York

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Abstract

The purpose of this chapter is to give the necessary background in stochastic calculus. It is not meant to provide a complete background in stochastic theory but rather present all the necessary theorems and results that will be used later on in order to derive the prices of various weather derivatives on different weather indexes. The reader, familiar or not to stochastic calculus, may use this chapter as a reference.

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Literature
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Karatzas I, Shreve SE (1991) Brownian motion and stochastic calculus, 2nd edn. Springer, New YorkCrossRef
Mikosch T (1998) Elementary stochastic calculus with finance in view, Advanced series on statistical science & applied probability. World Scientific, Singapore
Shiryaev AN (1999) Essentials of stochastic finance: facts, models, theory, Advanced series on statistical science & applied probability. World Scientific, Singapore
Shreve SE (2005) Stochastic calculus for finance, vol I, The binomial asset pricing models. Springer, New York
Wilmott P, Howison S, Dewynne J (1995) The mathematics of financial derivatives: a student introduction. Repr. with corrections. edn. Cambridge University Press, Cambridge
Metadata
Title
Introduction to Stochastic Calculus
Authors
Antonis K. Alexandridis
Achilleas D. Zapranis
Copyright Year
2013
Publisher
Springer New York
Book
Weather Derivatives

Print ISBN: 978-1-4614-6070-1

Electronic ISBN: 978-1-4614-6071-8

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-1-4614-6071-8_2